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From |
Neesha Harnam <neesha.harnam@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Panel unit root tests |

Date |
Tue, 4 Oct 2011 22:35:46 +0800 |

Apologies if anyone receives this twice but it looks like it was stuck in my outbox so I am resending - On Tue, Oct 4, 2011 at 7:57 PM, Neesha Harnam <neesha.harnam@gmail.com> wrote: > Dear Nick > > Thank you for your response. I have added the Stata commands I used below: > > a. Is the Fisher-ADF test valid when Statalist generates the message > "Stata could not compute test for panels 6, 12, 15, etc.?" I am using > the following code for the unemp variable: > > -xtunitroot fisher unemp, dfuller trend lags(1)- > > b. What does it mean when one gets the following error message > "performing unit-root test on first panel using the syntax..." and > returns "error code 2000?" The command I used precisely (for the > inequality variable) is as follows: > > -xtunitroot fisher inequality, dfuller trend demean lags(1)- > > c. I understand that demeaning is used when cross-sectional dependence > is thought to occur in the data, but is there any way to test for > cross-sectional dependence? Likewise, is there any way to test for a > time trend, or is it based on visual inspection of plots / empirical > evidence? If not, what is the convention? > > d. Which p-value of the Fisher-ADF test is valid for finite panels? > Stata generates p-values for the inverse chi-squared, inverse normal, > inverse logit, and modified inverse chi-squared when using the command > for the gdppc variable: -xtunitroot fisher gdppc, dfuller trend > lags(1)-, and I would like to know which would be appropriate to use > given that I have a finite sample. > > e. Is it possible to run Fisher-ADF in Stata using AIC-selected lag > lengths? When running the Im-Pesaran-Shin unit root tests this is > possible using the aic specification as follows: xtunitroot ips gdppc, > trend lags(aic). However, when I attempt to run a similar command for > the Fisher test (xtunitroot fisher gdppc, dfuller trend lags(aic)) I > get error code 198. I believe that using the AIC to determine lag > length for the Fisher test is possible in EViews, and would like to > know how I could do this in Stata. > > Thanks again, > Neesha > > > > On Mon, Oct 3, 2011 at 6:11 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: >> Your thread was hijacked, true, but your question was visible nevertheless. A bigger problem is that there is absolutely no detail here on precisely what commands you used and precisely what you typed in Stata. >> >> Error 2000 does not mean "no data"; it means "no data with which to do precisely what you asked". That could arise because of missing values, -if- or -in- restrictions, string values, or requests which are contradictory and are thus satisfied by no observations in your data. I can't say what is biting in your case. >> >> Nick >> n.j.cox@durham.ac.uk >> >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Neesha Harnam >> Sent: 03 October 2011 11:01 >> To: statalist >> Subject: st: Panel unit root tests >> >> Dear all, >> >> Apologies for reposting, but I did not receive any responses to my >> earlier query and thought it may have been because someone hijacked my >> thread with a question of their own. I have also rephrased some of my >> questions in the event that they were not clear initially, as >> suggested by the Statalist FAQ: >> >> I have a set of variables for which I would like to check for >> non-stationarity (these are in panel data form, with 31 years and 70 >> countries worth of data). As there are some unbalanced panels in my >> dataset I am using IPS and Fisher (ADF) tests to conduct these checks. >> I have looked at the individual line plots for each country/variable >> to determine if there is a time trend, and have run these tests both >> with and without cross-sectional demeaning. I am planning on running >> country-fixed effects regressions on these data. My questions are as >> follows: >> >> a. Is the Fisher-ADF test valid when Statalist generates the message >> "Stata could not compute test for panels 6, 12, 15, etc.?" >> >> b. What does it mean when one gets the following error message >> "performing unit-root test on first panel using the syntax..." and >> returns "error code 2000?" A google search revealed that this occurs >> when one has no observations, but I do have observations so am unclear >> as to what is happening behind the scenes. >> >> c. I understand that demeaning is used when cross-sectional dependence >> is thought to occur in the data, but is there any way to test for >> cross-sectional dependence? Likewise, is there any way to test for a >> time trend, or is it based on visual inspection of plots / empirical >> evidence? >> >> d. Which p-value of the Fisher-ADF test is valid for finite panels? >> Stata generates p-values for the inverse chi-squared, inverse normal, >> inverse logit, and modified inverse chi-squared. >> >> e. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths? >> >> >> Thank you very much, >> Neesha >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Panel unit root tests***From:*Neesha Harnam <neesha.harnam@gmail.com>

**st: RE: Panel unit root tests***From:*Nick Cox <n.j.cox@durham.ac.uk>

**Re: st: RE: Panel unit root tests***From:*Neesha Harnam <neesha.harnam@gmail.com>

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